feat: coinbase fee model + test

Common/Brokerages/CoinbaseBrokerageModel.cs

@@ -146,8 +146,8 @@ public override bool CanUpdateOrder(Security security, Order order, UpdateOrderR
             {
                 message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                     Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, request.Quantity.Value));
-            return false;
-        }
+                return false;
+            }
 
             message = null;
             return true;

Common/Orders/Fees/CoinbaseFeeModel.cs

@@ -24,6 +24,46 @@ namespace QuantConnect.Orders.Fees
     /// </summary>
     public class CoinbaseFeeModel : FeeModel
     {
+        /// <summary>
+        /// Level Advanced 1 maker fee
+        /// Tab "Fee tiers" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal MakerAdvanced1 = 0.006m;
+
+        /// <summary>
+        /// Level Advanced 1 taker fee
+        /// Tab "Fee tiers" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal TakerAdvanced1 = 0.008m;
+
+        /// <summary>
+        /// Stable Pairs maker fee
+        /// Tab "Stable pairs" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal MakerStablePairs = 0m;
+
+        /// <summary>
+        /// Stable Pairs taker fee
+        /// Tab "Stable pairs" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal TakerStableParis = 0.00001m;
+
+        private readonly decimal _makerFee;
+
+        private readonly decimal _takerFee;
+
+        /// <summary>
+        /// Create Coinbase Fee model setting fee values
+        /// </summary>
+        /// <param name="makerFee">Maker fee value</param>
+        /// <param name="takerFee">Taker fee value</param>
+        /// <remarks>By default: use Level Advanced 1 fees</remarks>
+        public CoinbaseFeeModel(decimal makerFee = MakerAdvanced1, decimal takerFee = TakerAdvanced1)
+        {
+            _makerFee = makerFee;
+            _takerFee = takerFee;
+        }
+
         /// <summary>
         /// Get the fee for this order in quote currency
         /// </summary>
@@ -32,21 +72,22 @@ public class CoinbaseFeeModel : FeeModel
         /// <returns>The cost of the order in quote currency</returns>
         public override OrderFee GetOrderFee(OrderFeeParameters parameters)
         {
-            if(parameters == null)
+            if (parameters == null)
             {
                 throw new ArgumentNullException(nameof(parameters), "The 'parameters' argument cannot be null.");
             }
 
             var order = parameters.Order;
             var security = parameters.Security;
+            var props = order.Properties as CoinbaseOrderProperties;
 
             // marketable limit orders are considered takers
-            var isMaker = order.Type == OrderType.Limit && !order.IsMarketable;
+            var isMaker = order.Type == OrderType.Limit && ((props != null && props.PostOnly) || !order.IsMarketable);
 
             // Check if the current symbol is a StableCoin
             var isStableCoin = Currencies.StablePairsCoinbase.Contains(security.Symbol.Value);
 
-            var feePercentage = GetFeePercentage(order.Time, isMaker, isStableCoin);
+            var feePercentage = GetFeePercentage(order.Time, isMaker, isStableCoin, _makerFee, _takerFee);
 
             // get order value in quote currency, then apply maker/taker fee factor
             var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
@@ -65,13 +106,14 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
         /// <param name="utcTime">The date/time requested (UTC)</param>
         /// <param name="isMaker">true if the maker percentage fee is requested, false otherwise</param>
         /// <param name="isStableCoin">true if the order security symbol is a StableCoin, false otherwise</param>
-        /// <returns>The fee percentage effective at the requested date</returns>
-        public static decimal GetFeePercentage(DateTime utcTime, bool isMaker, bool isStableCoin)
+        /// <param name="makerFee">maker fee amount</param>
+        /// <param name="takerFee">taker fee amount</param>
+        /// <returns>The fee percentage</returns>
+        protected static decimal GetFeePercentage(DateTime utcTime, bool isMaker, bool isStableCoin, decimal makerFee, decimal takerFee)
         {
-            // Advanced Trade fees: Stable pairs: 0.00% Maker | 0.001% Taker
             if (isStableCoin)
             {
-                return isMaker ? 0m : 0.001m;
+                return isMaker ? MakerStablePairs : TakerStableParis;
             }
             else if (utcTime < new DateTime(2019, 3, 23, 1, 30, 0))
             {
@@ -85,7 +127,7 @@ public static decimal GetFeePercentage(DateTime utcTime, bool isMaker, bool isSt
             // https://www.coinbase.com/advanced-fees
             // Level      | Trading amount  | Spot fees (Maker | Taker)
             // Advanced 1 |     >= $0       |       0.60% | 0.80%
-            return isMaker ? 0.006m : 0.008m;
+            return isMaker ? makerFee : takerFee;
         }
     }
 }

Tests/Common/Orders/Fees/CoinbaseFeeModelTests.cs

@@ -129,6 +129,7 @@ public void ReturnsExpectedFeeWithStableCoins()
         [TestCase(2019, 3, 23, 1, 29, 59, 0.3)]
         [TestCase(2019, 3, 23, 1, 30, 0, 0.25)]
         [TestCase(2019, 4, 1, 0, 0, 0, 0.25)]
+        [TestCase(2024, 1, 2, 0, 0, 0, 0.8)]
         public void FeeChangesOverTime(int year, int month, int day, int hour, int minute, int second, decimal expectedFee)
         {
             var time = new DateTime(year, month, day, hour, minute, second);
@@ -143,5 +144,26 @@ public void FeeChangesOverTime(int year, int month, int day, int hour, int minut
             // 100 (price) * fee (taker fee)
             Assert.AreEqual(expectedFee, fee.Value.Amount);
         }
+
+        [TestCase(0.0035, 0.0055, false, 0.55)]
+        [TestCase(0.0035, 0.0055, true, 0.35)]
+        [TestCase(0.0025, 0.004, true, 0.25)]
+        public void CustomCoinbaseFeeModelPlusCoinbaseOrderProperty(decimal customMakerFee, decimal customTakerFee, bool postOnly, decimal expectedFee)
+        {
+            decimal orderAmount = -1m;
+            IFeeModel customFeeModel = new CoinbaseFeeModel(customMakerFee, customTakerFee);
+
+            var dateTime = new DateTime(2024, 1, 2, 0, 0, 0);
+            var orderProperty = new CoinbaseOrderProperties() { PostOnly = postOnly };
+
+            var fee = customFeeModel.GetOrderFee(new OrderFeeParameters(_btcusd, new LimitOrder(_btcusd.Symbol, orderAmount, 99, dateTime, "fee", orderProperty)
+            {
+                OrderSubmissionData = new OrderSubmissionData(_btcusd.BidPrice, _btcusd.AskPrice, _btcusd.Price)
+            }));
+
+            Assert.AreEqual(Currencies.USD, fee.Value.Currency);
+            // (order.Direction == Buy ? AskPrice : BidPrice) * orderAmount * (maker)fee || (taker)fee
+            Assert.AreEqual(expectedFee, fee.Value.Amount);
+        }
     }
 }